Gianluca Fusai

Available identifiers

zbMath Open fusai.gianlucaMaRDI QIDQ222735

List of research outcomes

Publication	Date of Publication	Type
Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions	2022-09-19	Paper
General closed-form basket option pricing bounds	2021-07-16	Paper
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms	2021-06-09	Paper
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models	2021-03-17	Paper
General lattice methods for arithmetic Asian options	2020-01-23	Paper
Hilbert transform, spectral filters and option pricing	2020-01-20	Paper
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II	2019-10-23	Paper
Approximate pricing of swaptions in affine and quadratic models	2018-11-19	Paper
Integrated structural approach to credit value adjustment	2018-10-30	Paper
Correction: Exchange Option under Jump-diffusion Dynamics	2018-09-18	Paper
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts	2018-08-28	Paper
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options	2018-07-25	Paper
Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market	2018-05-29	Paper
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options	2016-10-07	Paper
Pricing exotic derivatives exploiting structure	2016-06-23	Paper
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options	2016-05-19	Paper
Pricing Credit Derivatives in a Wiener–Hopf Framework	2014-09-29	Paper
Z-Transform and preconditioning techniques for option pricing	2014-01-24	Paper
Pricing Discretely Monitored Asian Options by Maturity Randomization	2011-06-21	Paper
Option pricing, maturity randomization and distributed computing	2010-09-02	Paper
THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING	2010-04-22	Paper
Analysis of quadrature methods for pricing discrete barrier options	2009-05-18	Paper
Pricing financial claims contingent upon an underlying asset monitored at discrete times	2008-03-12	Paper
Implementing models in quantitative finance: methods and cases	2008-02-28	Paper
An exact analytical solution for discrete barrier options	2006-05-24	Paper
AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS	2005-06-22	Paper
Corridor options and arc-sine law.	2004-10-27	Paper
Dynamic value at risk under optimal and suboptimal portfolio policies.	2001-01-01	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Gianluca Fusai